The linear quadratic problem for the Itô stochastic equation: an adaptive variant (Q1881972)
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scientific article; zbMATH DE number 2108513
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The linear quadratic problem for the Itô stochastic equation: an adaptive variant |
scientific article; zbMATH DE number 2108513 |
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The linear quadratic problem for the Itô stochastic equation: an adaptive variant (English)
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18 October 2004
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The classical linear quadratic problem with Itô linear stochastic equation is considered in the case when some parameters of the Itô equation are varied. A class of adaptive strategies that are optimal for the LQ problem is introduced and used for solving the problem.
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0.88824266
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0.8813773
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0.87571955
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0.8736695
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